Kudos to MMs

[nitro]

Quote from shortie:

1386, now 1360. what was the highest value in the last ~2 weeks?

I don't remember, but well into the 1400s, I think 1436?

 

[nitro]

Normally I don't post "FV", but it is coming down hard:

"FV" 1350.98

I have a feeling I get stopped out.

 

[dont]

Quote from nitro:

Normally I don't post "FV", but it is coming down hard:

"FV" 1350.98

I have a feeling I get stopped out.

YAWN

 

[ammo]

Quote from nitro:

FWIW, "FV" 1360.16.

It has come in considerably in the last week. I don't feel as strongly as I did about 1372 profit target on the above trade. I suspect that as the market rights itself, "FV" will also go higher. But if it doesn't, I will be reconsidering PT, initially to 1342. But right now this is all premature.

before you recalibrated,maybe oct,your numbers were within 7-10 days of coming in, a nice precurssor,the fed thru them off,and you tried to adjust,now they are just form fitting,please go back to the oct (maybe )settings and see what you get for a number.....with all due respect

 

[nitro]

Quote from ammo:

before you recalibrated,maybe oct,your numbers were within 7-10 days of coming in, a nice precurssor,the fed thru them off,and you tried to adjust,now they are just form fitting,please go back to the oct (maybe )settings and see what you get for a number.....with all due respect

Don't I wish! If I knew how to make the model always be leading by seven days, I would give 50% of all my profits away in sheer joy!

I am honing in on how to do self-calibration correctly. I am pretty sure I understand this last piece of the puzzle...

 

[nitro]

Saved by the skin on my teeth.

The Sep '11 1320 call is picking up deltas nicely, at 55 as of this writing. Up small change on the trade (+4), but this is no place to take profits or hedge. 1342 is the earliest we can take profits. We will see what "FV" is if we reach there, and then decide.

 

[nitro]

BTW, anyone doing these trades should be using SPY options.

 

[nitro]

Shortie, even with a "FV" whose level is challenged, we are still doing ok with some very minimal trading discipline and just getting the sign of FV right, and trading only in that direction.

FWIW.

 

[shortie]

the market is too confusing for me. i want to build Short strangles around 1310-1320 with Aug Expr and will sit on those.

 

[nitro]

Quote from shortie:

the market is too confusing for me. i want to build Short strangles around 1310-1320 with Aug Expr and will sit on those.

Well, remember that generally index ATM straddles (implied volatility) are considerably higher than their realized volatility, and therefore have negative return over the risk-free rate. That means that generally unless you are really good, you have to sell ATM vola (as you are doing) if you are to have edge over longer periods of time. However, selling unhedged options is no way to sleep at night. So look into [iron] condors, etc. I am not saying it can't be done (selling naked options), just that you are exposing yourself to huge risk.

FWIW.